spawn_stochastic/
bridge.rs

1use rand::rngs::OsRng;
2use rand::Rng;
3
4/// Brownian Bridge process simulates paths that start and end at fixed points.
5pub struct BrownianBridge {
6    pub alpha: f64,
7    pub beta: f64,
8    pub sigma: f64,
9    pub n_paths: usize,
10    pub n_steps: usize,
11    pub t_end: f64,
12}
13
14impl BrownianBridge {
15    /// Creates a new Brownian Bridge instance.
16    pub fn new(alpha: f64, beta: f64, sigma: f64, n_paths: usize, n_steps: usize, t_end: f64) -> Self {
17        Self { alpha, beta, sigma, n_paths, n_steps, t_end }
18    }
19
20    /// Simulates Brownian Bridge paths using the Euler-Maruyama method with secure random number generation.
21    pub fn simulate(&self) -> Vec<Vec<f64>> {
22        let dt = self.t_end / self.n_steps as f64;
23        let mut rng = OsRng;
24        let mut paths = vec![vec![self.alpha; self.n_steps + 1]; self.n_paths];
25
26        for i in 0..self.n_paths {
27            for j in 1..self.n_steps {
28                let d_w = rng.gen::<f64>() * dt.sqrt();
29                if let Some(prev) = paths[i].get(j - 1) {
30                    paths[i][j] = prev + (self.beta - prev) / (self.n_steps - j + 1) as f64 + self.sigma * d_w;
31                }
32            }
33            paths[i][self.n_steps] = self.beta; // Set final value to beta
34        }
35
36        paths
37    }
38}
spawn_stochastic/bridge.rs

spawn_stochastic/
bridge.rs
